I'm scared I have to have my wisdom teeth taken out because of the a general anesthetic. How risky is it?

There are risks. There are risks with any anesthetic, and more risks with general anesthesia. Oral surgeons typically have significant training in intravenous sedation and general anesthesia and were performing outpatient surgery in the office before outpatient became known as it is today. As a group, oral surgeons have a very good track record with regard to administration of anesthesia.
Not to worry. Being put to sleep will keep all anxieties to a minimum. It makes it easier for the oral surgeon and time will fly by while you sleep. Could be a little expensive but, if you are that worried, then it is money well spent. Earl.